Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/38810 
Authors: 
Year of Publication: 
2010
Series/Report no.: 
Bonn Econ Discussion Papers No. 09/2010
Publisher: 
University of Bonn, Bonn Graduate School of Economics (BGSE), Bonn
Abstract: 
Within a default intensity approach we discuss the optimal exercise of the callable and convertible bonds. Pricing bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the volatility of the stock price process lies between two extreme values.
Subjects: 
Convertible bond
game option
uncertain volatility
interest rate risk
JEL: 
G12
G33
Document Type: 
Working Paper

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